课程名称︰高等会计学
课程性质︰会计系必修
课程教师︰许文馨
开课学院：管理学院
开课系所︰会计学系
考试日期（年月日）︰2014/05/21
考试时限（分钟）：90分钟
是否需发放奖励金：是~
（如未明确表示，则不予发放）
试题 :
一、(27分) On Jan. 1, 2011, Cam borrows $400,000 from Ven. The five-year term
note is a variable-rate one in which the 2011 interest rate is
determined to be 8%, the LIBOR rate at Jan. 1, 2011, +2%. Subsequent
years' interest rates are determined in a similar manner, with the
rate set for a particular year equal to the beginning-of-th-year
LIBOR rate +2%. Interest payments are due on Dec. 31 each year and
are computed assuming annual compounding.
Also on Jan. 1, 2011, Cam decides to enter into a pay-fixed, receive-
variable interest rate swap arrangement with Gra. Cam will pay 8%.
Assume that the LIBOR rate on Dec. 31, 2011, is 5%.
Required: 1. Why is this considered a cash flow hedge instead of a
fair vale hedge?
2. Why do you think this hedge would be considered effective
and therefore would quailfy for hedge accounting?
3. Assuming that this hedge relationship qualifies for
hedge accounting.
(a) Determine the estimated fair value of the hedge at
Dec. 31, 2011. Recall that the hedge contract is in
effect for the 2012, 2013, 2014, and 2015 interest
payment.
(b) Prepare all the necessary entries to account for the
interest rate swap at Dec. 31, 2011, including the
2011 interest payment.
4. Assuming that the LIBOR rate is 5.5% on Dec. 31, 2012,
(a) Determine the estimated fair value of the hedge at
Dec. 31, 2012. Recall that the hedge contract is in
effect for the 2013, 2014, and 2015 interest payment.
(b) Prepare all the necessary entries to account for the
interest rate swap at Dec. 31, 2012, including the
2012 interest payment.
二、(27分) 1. Assume that on Jan. 1, 2011, Jacobs Company borrows $200,000
from State Bank. The 3-year loan with interest paid annually is a
fixed-rate loan.
2. On Jan. 1, 2011, Jacobs enters into a pay-variable, receive-fixed
interest rate swap with Watson for the latter 2 payments. Jacobs
agrees to receive a set rate of 9% to Watson and will in return pay
LIBOR +2%. The hedge will be settled net. The notional amount is
$200,000.
3. Assume that the LIBOR rate on Dec. 31, 2011, is 6.5% and LIBOR
on Dec. 31, 2012 is 7.25%.
Required: 1. What types of hedge accounting is the SWAP qualified for?
2. Please prepare journal entries on Jan. 1, 2011, Dec. 31,
2011, Dec. 31, 2012.
三、(21分) NGW, a consumer gas provider, estimate a rather cold winter. As
a result it decides to enter a futures contract on NYMEX for natural
gas on Nov. 2, 2011. The trading unit is 10,000 million British
thermal units (MMBtu). The 3-month futures contract rate is $7.00
per MMBtu, so each contract will cost NGW $70,000. In addition, the
exchange requires a $5,00 deposit on each contract. NGW enters into
20 such contracts.
Required: Assume that the Dec. 31, 2011, future contract rate is
$6.75 for delivery on Feb. 2, 2012, and the spot rate on
Feb. 2, 2012, is $6.85. Assume that NGW sells all of the
gas on Feb. 3, 2012, for $8.00 per MMBtu. Prepare all the
necessary journal entries form Nov. 2, 2011, through
Feb. 3, 2012, to account for this hedge situation.
四、(25分) On Dec. 1, 2011, Jol Company enters into a 90-day forward contract
with a rice speculator to purchases 500 tons of rice at $1,000 per
ton. Jol enters into this contract in order to hedge a firm purchase
commitment. The contract is to be settled net. The spot price of
rice at Dec. 1, 2011, is $950.
On Dec. 31, 2011, the forward rate is $980 per ton. The contract is
settled and rice is purchased on Feb. 28, 2012. The spot and forward
rates when the contract is settled are $1,005. Assume the Jol
purchases 500 tons of rice on the date of the forward contract's
expiration. Assume that this contract has been documented to be an
effective hedge. Also assume an appropriate interest rate is 6%.
Required: 1. Prepare the required journal entries to account for this
hedge situation and the subsequent rice purchase on:
(a) Dec. 1, 2011.
(b) Dec. 31, 2011.
(c) Feb. 28, 2012.
2. Assume that the rice is subsequent sold by Jol on June 1,
2012, for $1,200 per ton. What journal entries will Jol
make on that date?